A key component of stress management and biofeedback training is the use of relaxation exercises, such as slow/deep breathing (6 breaths/minute) in heart coherence exercises (HCEs). Breathing exercises are also increasingly being integrated into smartphones as part of health apps, though their effectiveness in adolescents after acute stress has rarely been validated scientifically. The aim of the current study was to investigate the effectiveness of an app-guided HCE (n = 36) after an acute stress situation (Trier Social Stress Test) compared with natural relaxation (n = 37), among healthy adolescents (aged 11–17 years). Endocrine, autonomic, and psychological stress parameters (cortisol, alpha-amylase, heart rate, heart rate variability, mood) were examined in 73 adolescents (46 female, 27 male; Mage = 13.86, SDage = 1.87). Significant group differences were found in heart rate variability, with higher values in the low frequency band and low-to-high frequency ratio for the HCE condition, possibly indicating improved physiological functions through the stimulation of vagal tone and baroreflex. The use of a general breathing technique (natural and app-guided) also resulted in stronger relaxation reactions in cortisol when controlling for the previous stronger stress reactivity. On the other hand, app-guided slow breathing without a long training may be experienced as more uncomfortable during relaxation. The integration of breathing exercises in health apps for adolescents appears to be useful, offering a helpful and low-threshold coping/relaxation strategy during acute stress situations. Further studies should examine the benefits of app-guided breathing exercises in both psychiatric samples and the general population across a wide age range.